Expected Stock Returns and Variance Risk Premia
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- Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Return Predictability; Implied Variance; Realized Variance; Equity Risk Premium; Variance Risk Premium; Time-Varying Risk Aversion;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2008-06-27 (Business Economics)
- NEP-ETS-2008-06-27 (Econometric Time Series)
- NEP-MST-2008-06-27 (Market Microstructure)
- NEP-UPT-2008-06-27 (Utility Models and Prospect Theory)
Statistics
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